| sym.arma-package {sym.arma} | R Documentation |
Autoregressive and Moving Average Symmetric Models
Description
This package provides a set of functions to fitting of autoregressive and moving average symmetric models.
Details
Package: sym.arma
Type: Package
Version: 1.0
Date: 2018-09-23
License: GPL-2
Author(s)
Vinicius Quintas Souto Maior and Francisco Jose A. Cysneiros
Maintainer: Vinicius Quintas Souto Maior <vinicius@de.ufpe.br>
References
Maior, V. Q. S. and Cysneiros, F. J. A. (2018). SYMARMA: a new dynamic model for temporal data on conditional symmetric distribution. Statitical Paper, 59, 75-97. doi: 10.1007/s00362-016-0753-z.
Wei, W. W. S. (2006). Time Series Analysis: Univariate and Multivariate Methods, 2nd edition. Pearson Addison Wesley. Section 7.2.1.
Efron, B. and Tibshirani, R. (1993). An Introduction to the Bootstrap. Chapman and Hall, New York, London.
Thode, Henry C. (2002). Testing for normality, New York: Marcel Dekker.
Cook, R.D. (1986). Assessment of local influence (with discussion). Journal of the Royal Statistical Society, B 48, 133-169.
Examples
library(sym.arma)
data(assets)
fit <- elliptical.ts(assets$msf[2122:2240],order=c(1,0,0),trace=TRUE)
qqplot(fit,envelope=FALSE)